中国注册会计师行业的规模经济效应研究

大型会计师事务所具有规模优势,但规模优势并非无处不在,它主要体现在大客户市场上。本文从资产专用性、产品异质、合约范围经济三个角度对其进行了探讨。在我国注册会计师行业,“四大”在大客户市场上表现出明显的规模经济效应,本土事务所则呈现出规模不经济的状态。制约本土大型事务所规模经济效应发挥的主要原因包括:准入管制、价格管制、监管当局的不信任、事务所内部管理混乱以及缺乏国际经验。     

An Empirical Analysis of the Volatility in the Open-End Fund Market: Evidence from China

This paper applies a set of GARCH models to investigate the three characteristics, including time persistence, leverage effect, and risk premium, of the volatilities of the four China Securities Index (CSI) fund indices. This study made the following four findings: (1) a strong ARCH effect exists in the returns; (2) time persistence is significant in all the CSI fund indices, namely, "stock index," "hybrid index," and "bond index" in descending order of significance; (3) the leverage effect is not statistically significant, yet there may be a positive leverage effect on the bond funds; (4) a risk premium effect exists in the open-end fund market, especially in the bond fund market.     

Product line transformation,foreign sales,and firm value: Evidence from COVID-19 pandemic governance in urban China

Using a sample of Chinese firms, we examine stock market reaction to firms that announce a change in their product lines to those related to COVID-19 management (medical masks and ventilators, among others). We find the market reacts positively to the announcements. In addition, when a firm ordinarily has a large share of export sales, the stock market reaction is more salient, indicating that export sales provide a certification effect that positively signals investors. Additional analysis on moderating effects suggest that, conditional on foreign sales, prior experience with medical product lines or less uncertainty about supply availability enhances the cumulative announcement returns (CARs), while the adverse impact of firm size on CAR magnifies.     

Impact of Culture, Market Forces, and Legal System on Financial Disclosures

This study examines the impact of legal systems (LSs) on financial disclosures by firms from different countries. The results indicate that firms from common law countries are associated with higher financial disclosures compared to firms from code law countries. The findings also reveal that cultural values have an insignificant impact on financial disclosures by firms from common law countries, and the results on firms from code law countries provide mixed signals. The results for multinationals are similar to the results for the total sample. The cultural values have no impact on financial disclosures of multinationals from common law countries, and there are mixed signals for multinationals from code law countries.     

An Analysis of Joint Effects of Investment Opportunity Set,Free Cash Flows and Size on Corporate Debt Policy

This study, based on a sample of 1869 observations from 1989 to 1993 for non-regulated U.S. firms, examines the association between investment opportunity set (IOS), free cash flows (FCF) and debt, and also tests whether firm size acts as a moderating variable on this association. The results show that there is a significantly positive association between FCF and debt for low IOS firms, which provide support to Jensen's (1986) control hypothesis. The results also show that the positive association between debt and high FCF for low IOS firms is more pronounced for large firms, suggesting that the firm size serves as a moderating variable on the association.     

The cost of overconfidence in public information

We investigate the effects of investor overconfidence in public information on cross-sectional asset returns. The results show that investors in the US equity market are overconfident about public signals for mature firms that are relatively easy to price—old, large, and dividend-paying firms, value firms, and firms with a higher proportion of tangible assets, little external financing, and low sales growth. However, the effects of the overconfidence on cross-sectional stock returns are reversed quickly and comprise more than half of the short-term return reversals. The risk-adjusted cost of being overconfident about the noisy public signals, measured by return reversals of hedge portfolios formed on unexpected responses, is over 1.1% per month in the first month after portfolio formation, and is still significant despite the active arbitrage trading in the 2000s.     

Differences of Opinion, Short-Sales Constraints, and Market Crashes

We develop a theory of market crashes based on differences ofopinion among investors. Because of short-sales constraints,bearish investors do not initially participate in the marketand their information is not revealed in prices. However, ifother previously bullish investors bail out of the market, theoriginally bearish group may become the marginal "support buyers,"and more will be learned about their signals. Thus accumulatedhidden information comes out during market declines. The modelexplains a variety of stylized facts about crashes and alsomakes a distinctive new prediction–that returns will bemore negatively skewed conditional on high trading volume.     

The Weekend Effect, 'Reverse' Weekend Effect, and Firm Size

In this paper, we find a 'reverse%rsquo; weekend effect — whereby returns for Monday are positive and significantly greater than returns for the preceding Friday — in recent data for major stock indexes. We also find that, while a weak weekend effect exists in portfolios of smaller firms, the effect begins to diminish and weak 'reverse' weekend effect begins to appear in medium size firms. The 'reverse' weekend effect becomes strong and statistically significant in portfolios of large firms. The detection of a 'reverse' weekend effect in portfolios of large firms is a new finding in the literature.     

Inventory policy, accruals quality and information risk

This paper provides evidence consistent with firms with Last-in-first-out (LIFO) inventory policy being priced by the market as having lower information risk than First-in-first-out (FIFO) firms. Furthermore, the paper shows that this pricing differential is sustained after controlling for accruals quality, suggesting that the inventory policy signals some information risk characteristics that are not captured by accruals quality measure. We investigate the relation between inventory policy and accruals quality and find that accruals quality is systematically worse for FIFO firms than for LIFO firms after controlling for correlated omitted variables and known firm attributes. These findings complement the currently established relationship between the cost of capital, market pricing and accruals quality by focusing on the need for understanding the incremental effects of individual accounting policies.     

CAPITAL MARKET EXCESSES AND COMPETITIVE STRENGTH: THE CASE OF THE HARD DISK DRIVE INDUSTRY 1984–2000

In a much-cited 1985 study of the U.S. hard disk drive industry entitled "Capital Market Myopia," William Sahlman and Howard Stevenson concluded that "excesses in the capital markets turned an opportunity into a disaster" for investors in the emerging industry. Sahlman and Stevenson fretted about what their findings implied not only for investors but also for the industrial competitiveness of the U.S.A.
With the benefit of hindsight, the research presented in this article shows how the hard disk drive industry has evolved in the past 15 years to the point where disk drives are a vital part of the information technology revolution that has transformed the way we live, work, and play. The authors' research examines the financial performance of both hard disk drive manufacturers and storage system manufacturers completely dependent on hard disk drives; looks at improvements in the technical performance of hard drives; and then compares the competitiveness of U.S. companies with foreign manufacturers.
After the venture capital/IPO bubble of the early 1980s gave way to the traditional discipline of U.S. financial markets, many weak companies were driven out of business and others were forced to consolidate. Only a handful of the startup firms survived. But these U.S companies, together with IBM, now dominate the global hard drive market. Moreover, there are striking parallels between the 1982–84 hard drive bubble and the recent experience of U.S. Internet firms. Although the first half of 2000 saw a large number of closings, forced sales, and IPO cancellations by American dot-coms, a number of the likely "survivors"—notably, Yahoo, eBay, and Amazon.com—now seem poised to dominate their global markets.     

政治联系对中国上市公司的R&D投资具有“挤出”效应吗?

本文揭示了政治联系这一非正式的制度安排对中国上市公司R&D投资行为的影响。手工搜集了2004-2009年R&D与关键高管政治联系的经验数据,本文实证研究了政治联系是否对R&D具有"挤出"效应。结果表明,政治联系的公司投资于R&D的概率显著更小、R&D投资强度显著更低,即政治联系对R&D投资具有显著的挤出效应。进一步研究发现,相对于非国有上市公司与非高科技企业,政治联系对国有上市公司与高科技上市公司的R&D投资产生了显著的挤出效应。     

Innovation links,information diffusion,and return predictability: Evidence from China

Based on the activities of patent citation in China, a novel type of cross-firm innovation links is generated to investigate the gradual diffusion of information along the innovation chain via tests of cross-sectional return predictability. Various signals are created to represent the value of the information contained in the innovation links; these signals are demonstrated to have robust cross-predictability for stock returns in both the cross-sectional regression model and portfolio strategies. The effect of predictability is found to be stronger for stocks with high institutional ownership and analyst coverage. Considering the minimum number of steps required to establish the cross-firm linkage, innovation links are further partitioned to represent different proximity of the linked firms. It is then found that information diffuses faster across closely-linked firms than across distantly-linked firms. Sophisticated investors are found to be able to properly process the relevant information and benefit from innovation links.     

A Firm's-Eye View of Commercial Policy and Fiscal Reforms in Cameroon

After decades of high trade restrictions, fiscal distortions,and currency overvaluation, Cameroon implemented important commercialand fiscal policy reforms in 1994. Almost simultaneously, amajor devaluation cut the international price of Cameroon'scurrency in half. This article examines the effects of thosereforms on the incentive structure faced by manufacturing firms.Did the reforms create a coherent new set of signals? Did theyreduce dispersion in tax burdens? Was the net effect to stimulatethe production of tradable goods? The results of applying acost function decomposition to detailed firm-level panel datasuggest that the reforms created clear new signals for manufacturers,as effective protection rates fell by 80 to 120 percentage points.In contrast, neither the tax reforms nor the devaluation hada major systematic effect on profit margins. The devaluationdid shift relative prices dramatically in favor of exportablegoods, causing exporters to grow relatively rapidly.     

The Industry Effects Regarding the Probability of Takeovers

This study attempts to determine whether an acquisition announcement signals potential gains to the corresponding industry rivals of the target, and whether these gains can be explained by industry-specific and rival firm-specific factors that reflect the likelihood of a takeover. The research finds that the valuation effects of the target, combined acquirer and target, and industry rivals of the target are positive and significant. The mean valuation effects per corresponding industry are significantly related to industry-specific characteristics that reflect the probability of a takeover. Specifically, industries characterized as having a higher level of free cash flow, a higher level of tangible assets, and a smaller market value experience a more favorable revaluation. A supplemental analysis of the individual rival firms is also conducted, since the variation in the valuation effects between rival firms within each of the industries is distinctly different from the variation of mean industry effect across industries. The analysis of the individual rivals finds that the same rival-specific variables are significant and in the same direction as the analysis of the industry-specific variables. In addition, the valuation effects of individual rivals are also inversely related to their previous performance. Overall, the results suggest that industry-specific and rival firm-specific characteristics that reflect a higher probability of a takeover are important in explaining acquisition gains and motivation.     

The effects on investment incentives of an allowance for corporate equity tax system: the Belgian case as an example

The Modigliani–Miller theorem serves as the standard finance paradigm on corporate capital structure and managerial decision making. Implicitly, it is assumed that the market possesses full information about the firm. However, if firm managers have insider information, they may attempt to ‘signal’ changes in the firm’s financial structure and, in competitive equilibrium, shareholders will draw deductions from such signals. Empirical work shows that the value of underlying firms rises with leverage because investors expect such firms to implement positive NPV projects. We empirically examine this view using a sample of debt issue announcements by publicly traded firms listed on the London Stock Exchange. We argue that the timing of debt issues is fundamental in determining the relationship between leverage and risk-adjusted returns. We show that an announcing firm’s intrinsic value may not rise depending on when management publicly ‘signals’ changes in their firm’s capital structure. Specifically, we show that risk-adjusted returns rise positively for firms that make debt announcements during normal economic conditions while they tend to decline for firms making debt announcements during recessionary periods. During recessionary periods, market risk and loss aversion rise and investors focus less on the potential growth of debt announcing firms and focus more on potential losses instead. We conclude that the timing of new debt is of paramount importance and managers’ inability to prudently time such announcements can lead to exacerbated levels of systematic risk coupled with a significant erosion in shareholder wealth.     

Size matters: The impact of financial liberalization on individual firms

We attempt to answer the following questions: What are the revaluation effects and the impact on performance, volatility, and return correlation from stock market liberalization in emerging markets? These questions have been studied extensively at the market level but not at the firm level. Our results show significantly different impact of stock market liberalization across firms. Large firms tend to exhibit large revaluation effects, insignificant change in performance, large declines in volatility, and insignificant change in correlation from liberalization. Small firms show small revaluation effects, improved performance, smaller decline in volatility and decreases in correlation after liberalization.     

Audit Firm Industry Specialization and Client Disclosure Quality

This paper provides evidence that clients select auditors as part of their overall disclosure strategy. We hypothesize that in addition to higher quality audits, industry-specialist audit firms assist clients in enhancing disclosures. We also posit that the choice of an industry-specialist auditor signals a clients intention to provide enhanced disclosures. However, we predict that industry-specialist audit firms are less important in regulated industries where enhanced disclosures add little value. Consistent with our hypotheses, we document a positive association between industry-specialist audit firms and analysts rankings of disclosure quality in unregulated industries, but no relation in regulated industries.     

Are zombie firms more incentivized to financialize?

This paper investigates whether zombie firms demonstrate a tendency to invest in the financial sector, a practice we term financialization strategy. Unlike those in the United States, Japan, and Europe, we find that zombie firms in China are not necessarily small and that they rely heavily on government subsidies in addition to bank loans for survival. In addition, we document that zombie firms in China experience limited investment opportunities in their core businesses. This combination of readily available funding and limited investment opportunities jointly motivate the financialization of firms with zombie status. We further find that financialization is preferred by non-state-owned firms and by those located in regions with less developed markets. Finally, we suggest that a contagion effect can occur in terms of financialization in provinces that have a high percentage of zombie firms. This research sheds light on the effects of a triangular relationship among firms, government agencies, and financial institutions on both the operations of individual firms and overall market efficiency.     

Risk,resilience, and Shariah-compliance

Despite the popularity of Islamic Finance, the effects of Shariah-compliance on non-financial firm operations have never been studied. Shariah-compliance requirements presents unique conditions to examine how firms perform under restricted conditions. This paper seeks to examine the effects of Shariah-compliance on the risk and resilience of non-financial firms. Using a dynamic panel system GMM and a host of firm-specific attributes, and a global sample of 2,160 firms across six geographic regions, the results suggest that Shariah-compliant firms have lower firm risk as measured by total and idiosyncratic risk, and greater firm resilience as measured by the percent deviation from the maximum values of sales, cost of goods sold, operating expenses, and share price. These effects are more profound in the years following the U.S. subprime crisis. Results also show socio-cultural norms to have a moderating effect. Further testing shows firms face stiff penalties for losing their Shariah-compliance status. This paper is the first to study the effects of Shariah-compliance on non-financial firm operations on a global scale. This paper also contributes to the capital structure and corporate governance literature as it provides evidence that suggest resource restraints may be beneficial for a firm. The findings of this paper also provide significant value to firms looking to capitalize on the 1.8 billion-strong Muslim market with further insight on the intricacies of Shariah-compliance.     

Incentive Targeting, Influence Peddling, and Foreign Direct Investment

We expand the traditional tax incentive redundancy argument by investigating the implications of allocating incentives primarily to firms that would have invested even in the absence of special tax treatment. Incorporating government revenue constraints, pliable tax officials, endogenous tax liabilities, and firms with heterogeneous before-tax returns, we show that tax incentives, if given to the wrong firms, are not only ineffective in stimulating FDI, but result in a form of tax shifting and may reduce FDI. Data from countries of the former Eastern Bloc suggests that tax incentive schemes have significantly negative impacts on FDI in countries that poorly target firms.